<p>
  We analyze the performance of this strategy by comparing it to the S&P 500 ETF benchmark, SPY. We notice that the 
  strategy has a lower Sharpe ratio over all of our testing periods than the benchmark, except for the Fall 2015 
  crisis where it achieved a 2.8 Sharpe ratio. The strategy also has a lower annual standard deviation of returns 
  when compared to the SPY, implying more consistent returns over time. A breakdown of the strategy's performance 
  across all our testing periods is displayed in the table below.
</p>

<div style="overflow: auto">
<table class="table qc-table">
    <thead>
        <tr>
            <th>Period Name</th>
            <th>Start Date</th>
            <th>End Date</th>
            <th>Strategy</th>
            <th>Sharpe</th>
            <th>ASD</th>
        </tr>
    </thead>
    <tbody>
        <tr>
            <td rowspan="2">Backtest</td>
            <td rowspan="2">8/11/2015</td>
            <td rowspan="2">8/11/2020</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_ea37adf7f839f5c10070072a70e12323.html">Strategy</a></td>
            <td>-0.447</td>
            <td style="background-color: lightgrey;">0.053</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_f2c41f11332bbc9d81f5e3f2bfaa7975.html">Benchmark</a></td>
            <td style="background-color: lightgrey;">0.732</td>
            <td>0.192</td>
        </tr>
        <tr>
            <td rowspan="2">Fall 2015</td>
            <td rowspan="2">8/10/2015</td>
            <td rowspan="2">10/10/2015</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_04dc51a34b8a4b04c243cbb712d95bc6.html">Strategy</a></td>
            <td style="background-color: lightgrey;">2.837</td>
            <td style="background-color: lightgrey;">0.225</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_19229d5f18c2cc47163a5ff910fb7870.html">Benchmark</a></td>
            <td>-0.724</td>
            <td>0.251</td>
        </tr>
        <tr>
            <td rowspan="2">2020 Crash</td>
            <td rowspan="2">2/19/2020</td>
            <td rowspan="2">3/23/2020</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_4657f7dc1dfb9ceed86fed494e2d894d.html">Strategy</a></td>
            <td>-4.196</td>
            <td style="background-color: lightgrey;">0.209</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_cc2afe14cbcdef1c74d0f3718cac49fc.html">Benchmark</a></td>
            <td style="background-color: lightgrey;">-1.243</td>
            <td>0.793</td>
        </tr>
        <tr>
            <td rowspan="2">2020 Recovery</td>
            <td rowspan="2">3/23/2020</td>
            <td rowspan="2">6/8/2020</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_0e1889d7a885d4ac567296a645246c97.html">Strategy</a></td>
            <td>-3.443</td>
            <td style="background-color: lightgrey;">0.013</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_9f37bccb0732468f3f9ed2c09136bee4.html">Benchmark</a></td>
            <td style="background-color: lightgrey;">13.761</td>
            <td>0.386</td>
        </tr>
    </tbody>
</table>
</div>


<p>
  The lack of performance for this arbitrage strategy is mostly attributed to the fees it incurs while trading. This 
  is common for an intraday arbitrage strategy, but we discuss ways to reduces these fees in the conclusion of this 
  tutorial. After removing the costs of commissions, crossing the spread, and slippage, the strategy outperforms the 
  SPY over the entire backtesting period. Without these costs, the strategy generates a 1.09 Share ratio while the 
  SPY generates a 0.732 Sharpe ratio. See the backtest performance without fees below.
</p>


<div class="qc-embed-frame" style="display: inline-block; position: relative; width: 100%; min-height: 100px; min-width: 300px;">
    <div class="qc-embed-dummy" style="padding-top: 56.25%;"></div>
    <div class="qc-embed-element" style="position: absolute; top: 0; bottom: 0; left: 0; right: 0;">
        <iframe class="qc-embed-backtest" height="100%" width="100%" style="border: 1px solid #ccc; padding: 0; margin: 0;" src="https://www.quantconnect.com/terminal/processCache/?request=embedded_backtest_4e5c71ecaae8819d56fde07ba9d721b2.html"></iframe>
    </div>
</div> 
